A note on the uniqueness of solutions to rational expectations models

  • Klein (2000) advocates the use of the Schur decomposition of a matrix pencil to solve linear rational expectations (RE) models. Meanwhile his algorithm has become a center piece in several computer codes that provide approximate solutions to (non-linear) dynamic stochastic general equilibrium (DSGE) models. A subtlety not resolved by Klein is whether or not a certain Schur decompostion could fail to solve the model while a second one would provide a solution. We show that this cannot happen.

Download full text files

Export metadata

Statistics

Number of document requests

Additional Services

Share in Twitter Search Google Scholar
Metadaten
Author:Christopher HeibergerGND, Torben Klarl, Alfred MaußnerGND
URN:urn:nbn:de:bvb:384-opus4-710991
Frontdoor URLhttps://opus.bibliothek.uni-augsburg.de/opus4/71099
Series (Serial Number):Volkswirtschaftliche Diskussionsreihe (319)
Publisher:Volkswirtschaftliches Institut, Universität Augsburg
Place of publication:Augsburg
Type:Working Paper
Language:English
Year of first Publication:2012
Publishing Institution:Universität Augsburg
Release Date:2020/02/21
Tag:JEL: C63, C88, E37
Pagenumber:13
Institutes:Wirtschaftswissenschaftliche Fakultät
Wirtschaftswissenschaftliche Fakultät / Institut für Volkswirtschaftslehre
Wirtschaftswissenschaftliche Fakultät / Institut für Volkswirtschaftslehre / Lehrstuhl für Empirische Makroökonomik (Maußner)
Dewey Decimal Classification:3 Sozialwissenschaften / 33 Wirtschaft / 330 Wirtschaft
Journals:Volkswirtschaftliche Diskussionsreihe
Licence (German):Deutsches Urheberrecht